topic Re: ADF Interpretation in Statistical Procedures

ADF Interpretation

Toni2 — Fri, 31 Mar 2023 19:02:58 GMT

below is my ADF test for regression residuals. I use alpha=5%

My interpretation is : my residuals are non-stationary as my model does not take into account the 4 lags suggested by ADF. In other words, my residuals would be stationary only if i take in consideration the 4 lags in the model

Is this correct?

Lag 4 , ADF = -2.922, p-value = 0.0428

Re: ADF Interpretation

ballardw — Fri, 31 Mar 2023 21:40:44 GMT

I suggest including the code that you ran to generate that output so any responses have a better chance of targeting the interpretation in light of the options you selected.

Re: ADF Interpretation

Ksharp — Sat, 01 Apr 2023 09:41:55 GMT

Better post it at Forecasting Forum, since it is question about SAS/ETS .

https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics